| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 24.0% | 68.0% |
| Cumulative Return | 2,921.02% | 19,396.72% |
| CAGR% | 3.74% | 5.84% |
| Sharpe | 0.38 | 0.33 |
| Sortino | 0.57 | 0.46 |
| Max Drawdown | -33.84% | -86.19% |
| Longest DD Days | 3403 | 9136 |
| Volatility (ann.) | 7.28% | 15.8% |
| R^2 | 0.0 | 0.0 |
| Calmar | 0.11 | 0.07 |
| Skew | 0.8 | -0.11 |
| Kurtosis | 48.61 | 26.91 |
| Expected Daily % | 0.01% | 0.02% |
| Expected Monthly % | 0.31% | 0.47% |
| Expected Yearly % | 3.73% | 5.83% |
| Kelly Criterion | 6.73% | 0.24% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.74% | -1.62% |
| Expected Shortfall (cVaR) | -0.74% | -1.62% |
| Payoff Ratio | 1.04 | 0.89 |
| Profit Factor | 1.16 | 1.08 |
| Common Sense Ratio | 1.32 | 1.08 |
| CPC Index | 0.63 | 0.51 |
| Tail Ratio | 1.15 | 1.0 |
| Outlier Win Ratio | 23.66 | 5.51 |
| Outlier Loss Ratio | 3.54 | 2.85 |
| MTD | 4.68% | 2.38% |
| 3M | 0.28% | 6.77% |
| 6M | 6.87% | 19.78% |
| YTD | 11.5% | 6.57% |
| 1Y | 13.25% | 15.3% |
| 3Y (ann.) | 4.96% | 10.34% |
| 5Y (ann.) | 5.77% | 11.09% |
| 10Y (ann.) | 3.89% | 11.43% |
| All-time (ann.) | 3.74% | 5.84% |
| Best Day | 9.26% | 16.61% |
| Worst Day | -9.97% | -20.47% |
| Best Month | 45.49% | 39.14% |
| Worst Month | -8.37% | -29.94% |
| Best Year | 46.9% | 45.02% |
| Worst Year | -22.45% | -47.07% |
| Avg. Drawdown | -2.37% | -2.64% |
| Avg. Drawdown Days | 104 | 58 |
| Recovery Factor | 86.32 | 225.05 |
| Ulcer Index | inf | 1.0 |
| Avg. Up Month | 2.52% | 4.04% |
| Avg. Down Month | -2.26% | -3.63% |
| Win Days % | 52.48% | 53.08% |
| Win Month % | 56.29% | 59.48% |
| Win Quarter % | 63.91% | 63.17% |
| Win Year % | 68.82% | 66.67% |
| Beta | -0.0 | - |
| Alpha | 0.03 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1928 | 37.88 | 0.13 | 0.00 | - |
| 1929 | -11.91 | 4.89 | -0.41 | + |
| 1930 | -28.48 | -6.06 | 0.21 | + |
| 1931 | -47.07 | -6.90 | 0.15 | + |
| 1932 | -14.78 | 46.90 | -3.17 | + |
| 1933 | 44.08 | -5.33 | -0.12 | - |
| 1934 | -4.71 | -1.33 | 0.28 | + |
| 1935 | 41.37 | -6.60 | -0.16 | - |
| 1936 | 27.92 | 12.98 | 0.46 | - |
| 1937 | -38.59 | -1.59 | 0.04 | + |
| 1938 | 24.55 | 23.21 | 0.95 | - |
| 1939 | -5.18 | -10.45 | 2.02 | - |
| 1940 | -15.09 | 15.18 | -1.01 | + |
| 1941 | -17.86 | 7.82 | -0.44 | + |
| 1942 | 12.43 | 16.23 | 1.31 | + |
| 1943 | 19.45 | 16.48 | 0.85 | - |
| 1944 | 13.80 | 3.13 | 0.23 | - |
| 1945 | 30.72 | 15.81 | 0.51 | - |
| 1946 | -11.87 | -10.34 | 0.87 | + |
| 1947 | -0.00 | -7.48 | 84234920328728.38 | - |
| 1948 | -0.65 | -1.06 | 1.63 | - |
| 1949 | 10.46 | 10.37 | 0.99 | - |
| 1950 | 21.68 | 11.39 | 0.53 | - |
| 1951 | 16.35 | 5.74 | 0.35 | - |
| 1952 | 11.78 | -6.73 | -0.57 | - |
| 1953 | -6.62 | -5.57 | 0.84 | + |
| 1954 | 45.02 | 12.74 | 0.28 | - |
| 1955 | 26.40 | 7.65 | 0.29 | - |
| 1956 | 2.62 | -10.53 | -4.02 | - |
| 1957 | -14.31 | -6.56 | 0.46 | + |
| 1958 | 38.06 | 11.04 | 0.29 | - |
| 1959 | 8.48 | -1.55 | -0.18 | - |
| 1960 | -2.97 | 7.82 | -2.63 | + |
| 1961 | 23.13 | 2.50 | 0.11 | - |
| 1962 | -11.81 | 0.42 | -0.04 | + |
| 1963 | 18.89 | 3.94 | 0.21 | - |
| 1964 | 12.97 | 0.01 | 0.00 | - |
| 1965 | 9.06 | 4.01 | 0.44 | - |
| 1966 | -13.09 | 0.66 | -0.05 | + |
| 1967 | 20.09 | 13.37 | 0.67 | - |
| 1968 | 7.66 | 11.69 | 1.53 | + |
| 1969 | -11.36 | 2.14 | -0.19 | + |
| 1970 | 0.10 | 3.99 | 40.84 | + |
| 1971 | 10.79 | 3.26 | 0.30 | - |
| 1972 | 15.63 | 0.84 | 0.05 | - |
| 1973 | -17.37 | -14.62 | 0.84 | + |
| 1974 | -29.72 | 0.36 | -0.01 | + |
| 1975 | 31.55 | 11.14 | 0.35 | - |
| 1976 | 19.15 | 15.95 | 0.83 | - |
| 1977 | -11.50 | -10.94 | 0.95 | + |
| 1978 | 1.06 | -5.38 | -5.07 | - |
| 1979 | 12.31 | 10.04 | 0.82 | - |
| 1980 | 25.77 | 23.15 | 0.90 | - |
| 1981 | -9.73 | -7.42 | 0.76 | + |
| 1982 | 14.76 | 0.10 | 0.01 | - |
| 1983 | 17.27 | 14.13 | 0.82 | - |
| 1984 | 1.40 | 3.68 | 2.63 | + |
| 1985 | 26.33 | 1.13 | 0.04 | - |
| 1986 | 14.62 | 16.10 | 1.10 | + |
| 1987 | 2.03 | 18.57 | 9.16 | + |
| 1988 | 12.40 | -5.96 | -0.48 | - |
| 1989 | 27.25 | 14.17 | 0.52 | - |
| 1990 | -6.56 | 10.32 | -1.57 | + |
| 1991 | 26.31 | 12.03 | 0.46 | - |
| 1992 | 4.46 | 4.57 | 1.02 | + |
| 1993 | 7.06 | 6.49 | 0.92 | - |
| 1994 | -1.54 | -4.81 | 3.12 | - |
| 1995 | 34.11 | 3.85 | 0.11 | - |
| 1996 | 20.26 | 3.38 | 0.17 | - |
| 1997 | 31.01 | 14.08 | 0.45 | - |
| 1998 | 26.67 | 6.23 | 0.23 | - |
| 1999 | 19.53 | -3.13 | -0.16 | - |
| 2000 | -10.14 | -5.94 | 0.59 | + |
| 2001 | -13.04 | 6.48 | -0.50 | + |
| 2002 | -23.37 | 6.10 | -0.26 | + |
| 2003 | 26.38 | 14.23 | 0.54 | - |
| 2004 | 8.99 | 4.02 | 0.45 | - |
| 2005 | 3.00 | -3.75 | -1.25 | - |
| 2006 | 13.62 | -0.51 | -0.04 | - |
| 2007 | 3.53 | -2.34 | -0.66 | - |
| 2008 | -38.49 | -22.45 | 0.58 | + |
| 2009 | 23.45 | 18.07 | 0.77 | - |
| 2010 | 12.78 | 12.94 | 1.01 | + |
| 2011 | -0.00 | -5.62 | 1767.32 | - |
| 2012 | 13.41 | 2.94 | 0.22 | - |
| 2013 | 29.60 | 6.31 | 0.21 | - |
| 2014 | 11.39 | 5.65 | 0.50 | - |
| 2015 | -0.73 | 1.57 | -2.15 | + |
| 2016 | 9.54 | 6.40 | 0.67 | - |
| 2017 | 19.42 | 6.95 | 0.36 | - |
| 2018 | -6.24 | -5.94 | 0.95 | + |
| 2019 | 28.88 | 7.22 | 0.25 | - |
| 2020 | 6.57 | 11.50 | 1.75 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 1932-09-09 | 1940-09-24 | -33.84 | 2937 |
| 2007-07-17 | 2014-02-14 | -33.76 | 2404 |
| 1946-01-18 | 1951-01-17 | -25.84 | 1825 |
| 1955-09-27 | 1965-01-20 | -23.12 | 3403 |
| 1971-03-18 | 1976-02-05 | -21.29 | 1785 |
| 1929-09-05 | 1932-08-04 | -20.51 | 1064 |
| 1980-12-02 | 1983-06-22 | -19.01 | 932 |
| 1976-11-24 | 1980-05-23 | -18.26 | 1276 |
| 1999-07-20 | 2003-01-07 | -17.84 | 1267 |
| 1951-12-27 | 1954-12-08 | -16.28 | 1077 |